Optimal Dynamic Information Provision

Jérôme Renault (1) , Eilon Solan (2) , Nicolas Vieille (3)

1 GREMAQ - Groupe de recherche en économie mathématique et quantitative
2 TAU - School of Mathematical Sciences [Tel Aviv]
3 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC

We study a dynamic model of information provision. A state of nature evolves according to a Markov chain. An informed advisor decides how much information to provide to an uninformed decision maker, so as to in uence his short-term decisions. We deal with a stylized class of situations, in which the decision maker has a risky action and a safe action, and the payo to the advisor only depends on the action chosen by the decision maker. The greedy disclosure policy is the policy which, at each round, minimizes the amount of information being disclosed in that round, under the constraint that it maximizes the current payo of the advisor. We prove that the greedy policy is optimal in many cases - but not always.

Mots clés: greedy algorithm; Dynamic information provision; optimal strategy; greedy algorithm.

Domaines: Recherche opérationnelle [math.OC]; Optimisation et contrôle [math.OC]

Jérôme Renault, Eilon Solan, Nicolas Vieille. Optimal Dynamic Information Provision. 2014. ⟨hal-01025797⟩